Good day!

I have a 915 chipset and now configuring an unattended setup for WinXP SP2 (it's my first attempt).

I have a readme.txt on my motherboard's CD, here is a part:

************************************************************
* 8C.  INSTALLING THE WINDOWS* XP INF FILES PRIOR TO
*      OS INSTALLATION
************************************************************
NOTE: The Windows* XP OEM Preload Kit distribution CD contains 
      a setup directory with all the base operating system 
      setup files and installation programs (WINNT.EXE and
      WINNT32.EXE).  

The name of the directory may vary depending on the 
distribution CD (e.g., \I386\).

1.  Create the following directory structure under the 
    <WINXP Setup Directory>: 

       \$OEM$\$$\INF

2.  Copy the Windows* XP INF files from 
    <INF Extract Directory>\XXXX\WinXP to the directory
    created in Step 1 above:

       <WINXP Setup Directory>\$OEM$\$$\INF

    NOTE: XXXX is the directory name for the chipset of 
          interest.  Refer to Section 8 for more details.

3.  Create the following directory structure under the 
    <WINXP Setup Directory>: 

       \$OEM$\$1\drivers\IntelINF

4.  Copy the Windows* XP INF files AND the catalog files 
    (.CAT) from <INF Extract Directory>\XXXX\WinXP to the 
    directory created in Step 4 above:

       <WINXP Setup Directory>\$OEM$\$1\drivers\IntelINF

    NOTE: XXXX is the directory name for the chipset of 
          interest. Refer to Section 8 for more details.

5.  Either modify the default Windows* XP installation
    answer file, UNATTEND.TXT, located in <WINXP Setup 
    Directory>, or create a customized answer file.  The
    answer file must include the following information:
   
       [Unattended]
       OemPreinstall = Yes
       OemPnPDriversPath="drivers\IntelINF"

    A sample answer file for preloading the Intel(R) Chipset
    Software Installation utility files is available: 
    <INF Extract Directory>\XXXX\WinXP\INFAnswr.TXT
    
    If you are a computer manufacturer, refer to the Microsoft* 
    Windows* XP Guide to Unattended Setup for more information 
    about Windows* XP answer files and unattended installations. 
    For more information about the \$OEM$ folder, refer to the 
    Microsoft Windows* XP OEM Preinstallation Kit (OPK) 
    User Guide. If you are not a manufacturer, refer to the Microsoft 
    Windows* XP Deployment Guide.

6.  Run "WINNT.EXE /u:<answer file name> /s:<WINXP Setup 
    Directory>" to install Windows* XP.

and here is a trouble:

<INF Extract Directory>\XXXX\WinXP - there is no directory on the CD

I have only:

INFUpdate - but no .inf files there, only setup.exe and data1.cab and data2.cab (which does not extracts). I have a subdirectories like win98se, winme, xp etc. and .cat files in it.

What I've got to do to solve this problem?

Check this article for extracting it and this one for slipstreaming the drivers

This should be sufficient!